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Stock (geology)
About: Stock (geology) is a research topic. Over the lifetime, 31009 publications have been published within this topic receiving 783542 citations.
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TL;DR: The authors found that the effect of news about real economic activity depends on the varying responses of expected cash flows relative to equity discount rates, reflecting the larger effect on discount rates relative to expected cash flow.
Abstract: Previous research finds that fundamental macroeconomic news has little effect on stock prices. This study shows that after allowing for different stages of the business cycle, a stronger relationship between stock prices and news is evident. In particular, the empirical results suggest that the effect of news about real economic activity depends on the varying responses of expected cash flows relative to equity discount rates. When the economy is strong, for example, the stock market responds negatively to good news about real economic activity, reflecting the larger effect on discount rates relative to expected cash flows.
555 citations
TL;DR: In this article, the authors investigated the time-varying correlation between stock market prices and oil prices for oil-importing and oil-exporting countries and concluded that in periods of significant economic turmoil the oil market is not a safe haven for offering protection against stock market losses.
550 citations
Posted Content•
TL;DR: This paper examined the pricing of aggregate volatility risk in the cross-section of stock returns and found that stocks with high sensitivities to innovations in aggregate volatility have low average returns, and that stock with high idiosyncratic volatility relative to the Fama and French (1993) model have abysmally low return.
Abstract: We examine the pricing of aggregate volatility risk in the cross-section of stock returns Consistent with theory, we find that stocks with high sensitivities to innovations in aggregate volatility have low average returns In addition, we find that stocks with high idiosyncratic volatility relative to the Fama and French (1993) model have abysmally low average returns This phenomenon cannot be explained by exposure to aggregate volatility risk Size, book-to-market, momentum, and liquidity effects cannot account for either the low average returns earned by stocks with high exposure to systematic volatility risk or for the low average returns of stocks with high idiosyncratic volatility
549 citations
TL;DR: This article examined five seasonal patterns in stock markets of eighteen countries: the weekend, turn-of-the-month, end of the year, monthly and Friday the thirteenth effects.
549 citations
TL;DR: In this paper, the authors investigate the short-run response of stock prices to the arrival of macroeconomic news and find that on average, an announcement of rising unemployment is good news for stocks during economic expansions and bad news during economic contractions.
Abstract: We find that on average, an announcement of rising unemployment is good news for stocks during economic expansions and bad news during economic contractions. Unemployment news bundles three types of primitive information relevant for valuing stocks: information about future interest rates, the equity risk premium, and corporate earnings and dividends. The nature of the information bundle, and hence the relative importance of the three effects, changes over time depending on the state of the economy. For stocks as a group, information about interest rates dominates during expansions and information about future corporate dividends dominates during contractions. THIS STUDY INVESTIGATES THE SHORT-RUN response of stock prices to the arrival of macroeconomic news. The particular news event we consider is the Bureau of Labor Statistic’s (BLS) monthly announcement of the unemployment rate. We establish that the stock market’s response to unemployment news arrival depends on whether the economy is expanding or contracting. On average, the stock market responds positively to news of rising unemployment in expansions, and negatively in contractions. Since the economy is usually in an expansion phase, it follows that the stock market usually rises on the announcement of
548 citations